There's so much that needs to be explained that it tends to be a bit more difficult (Remember, we're talking about RPGs here), because you need to infodump the player as fast as possible, while making it flow naturally into the story.
Yet, of course, the setting which are the most memorable are exactly those which succeed at doing that, and present a world that truly is unique! Morrowind, Geneforge/Avernum*, etc are outlasting their age much more than I expect, say, Skyrim to do.
Looking at these games, I think the key is to have the character
(rather than just the player) be new to the setting. The PC in Morrowind comes from one of the other provinces, and in fact that's a pretty major part of the game. In Avernum (Escape from the Pit, at least, it's the only one I've played so far but sequels set in the same place don't need to worry about describing the world so much as a lot of players have come from the first game) you're thrown into a deep cave system, and were expecting to die immediately, but have found a completely unexpected civilisation. In Geneforge (again, I've only played the first game so far) your character knows more lore, but a lot of it doesn't apply in the location the game's set on anyway.
The reason, perhaps, is that then you're able to find out about the world without breaking your suspension of disbelief, as your character would be doing exactly the same thing.